siglab-py 0.1.6__py3-none-any.whl → 0.1.8__py3-none-any.whl

siglab_py/exchanges/any_exchange.py

@@ -6,6 +6,7 @@ Concrete implementation will:
 a. Inherit from AnyExchange, thus ccxt Exchange class
 b. Override ccxt basic functions
     - load_markets
+    - fetch_position
     - fetch_balance
     - create_order
     - update_order

siglab_py/ordergateway/client.py

@@ -67,8 +67,9 @@ class DivisiblePosition(Order):
         self.slices = slices
         self.wait_fill_threshold_ms = wait_fill_threshold_ms
         self.multiplier = 1
-        self.filled_amount = 0
-        self.average_cost = 0
+        self.filled_amount : Union[float, None] = None
+        self.average_cost : Union[float, None] = None
+        self.pos : Union[float, None] = None # in base ccy, after execution. (Not in USDT or quote ccy, Not in # contracts)
 
         self.executions : Dict[str, Dict[str, Any]] = {}
 
@@ -119,13 +120,11 @@ class DivisiblePosition(Order):
     def get_filled_amount(self) -> float:
         # filled_amount is in base ccy
         filled_amount = sum([ self.executions[order_id]['filled'] * self.multiplier for order_id in self.executions ])
-        self.filled_amount = filled_amount
         return filled_amount
 
     def get_average_cost(self) -> float:
         average_cost = sum([ self.executions[order_id]['average'] * self.executions[order_id]['amount'] for order_id in self.executions ])
         average_cost = average_cost / sum([ self.executions[order_id]['amount'] for order_id in self.executions ])
-        self.average_cost = average_cost
         return average_cost
 
     def to_dict(self) -> Dict[JSON_SERIALIZABLE_TYPES, JSON_SERIALIZABLE_TYPES]:
@@ -135,6 +134,7 @@ class DivisiblePosition(Order):
         rv['executions'] = self.executions
         rv['filled_amount'] = self.filled_amount
         rv['average_cost'] = self.average_cost
+        rv['pos'] = self.pos
         return rv
 
 def execute_positions(
@@ -150,8 +150,6 @@ def execute_positions(
     _positions = [ position.to_dict() for position in positions ]
     redis_client.set(name=ordergateway_pending_orders_topic, value=json.dumps(_positions).encode('utf-8'), ex=60*15)
 
-    print(f"{ordergateway_pending_orders_topic}: Orders sent {_positions}.")
-
     # Wait for fills
     fills_received : bool = False
     while not fills_received:
@@ -165,6 +163,8 @@ def execute_positions(
                         message = message.decode('utf-8')
                         executed_positions = json.loads(message)
                         fills_received = True
+
+                        redis_client.delete(key)
                         break
 
         except Exception as loop_err:

siglab_py/ordergateway/gateway.py

@@ -528,6 +528,18 @@ async def execute_one_position(
         finally:
             i += 1
 
+    position.filled_amount = position.get_filled_amount()
+    position.average_cost = position.get_average_cost()
+
+    balances = await exchange.fetch_balance() # type: ignore
+    if param['default_type']!='spot':
+        updated_position = await exchange.fetch_position(symbol=position.ticker) # type: ignore
+        amount = updated_position['contracts'] * position.multiplier # in base ccy
+    else:
+        base_ccy : str = position.ticker.split("/")[0]
+        amount = balances[base_ccy]['total']
+    position.pos = amount
+
 async def work(
     param : Dict,
     exchange : AnyExchange,
@@ -581,7 +593,7 @@ async def work(
 
                                 i = 0
                                 for position in positions:
-                                    log(f"{i} {position.ticker}, {position.side} # executions: {len(position.get_executions())}, filled_amount: {position.get_filled_amount()}, average_cost: {position.get_average_cost()}, order_dispatch_elapsed_ms: {order_dispatch_elapsed_ms}")
+                                    log(f"{i} {position.ticker}, {position.side} # executions: {len(position.get_executions())}, filled_amount: {position.filled_amount}, average_cost: {position.average_cost}, pos: {position.pos}, order_dispatch_elapsed_ms: {order_dispatch_elapsed_ms}")
                                     i += 1
 
                                 start = time.time()

siglab_py/tests/integration/market_data_util_tests.py

@@ -12,7 +12,7 @@ from ccxt.deribit import deribit
 from ccxt.base.exchange import Exchange
 
 # @unittest.skip("Skip all integration tests.")
-class MarketDataGizmoTests(unittest.TestCase):
+class MarketDataUtilTests(unittest.TestCase):
 
     def test_fetch_candles_yahoo(self):
         start_date : datetime = datetime(2024, 1,1)
@@ -89,16 +89,11 @@ class MarketDataGizmoTests(unittest.TestCase):
         param = {
             'apiKey' : None,
             'secret' : None,
-            'password' : None,    # Other exchanges dont require this! This is saved in exchange.password!
+            'password' : None,
             'subaccount' : None,
             'rateLimit' : 100,    # In ms
             'options' : {
-                'defaultType': 'swap', # Should test linear instead
-                'leg_room_bps' : 5,
-                'trade_fee_bps' : 3,
-
-                'list_ts_field' : 'listTime' # list_ts_field: Response field in exchange.markets[symbol] to indiate timestamp of symbol's listing date in ms. For bybit, markets['launchTime'] is list date. For okx, it's markets['listTime'].
-            }
+                'defaultType': 'swap'            }
         }
 
         exchange : Exchange = okx(param)

siglab_py/tests/unit/analytic_util_tests.py

@@ -0,0 +1,45 @@
+import unittest
+from typing import List
+from pathlib import Path
+
+from util.analytic_util import compute_candles_stats
+
+import pandas as pd
+
+'''
+Manual checks against for example Tradingview here: \siglab\siglab_py\tests\manual
+'''
+
+# @unittest.skip("Skip all integration tests.")
+class AnalyticUtilTests(unittest.TestCase):
+
+    def test_compute_candle_stats(self):
+        '''
+        Folder structure:
+            \ siglab
+                \ siglab_py	<-- python project root
+                    \ sigab_py
+                        __init__.py
+                        \ util
+                            __init__.py
+                            market_data_util.py
+                        \ tests
+                            \ unit
+                                __init__.py
+                                analytic_util_tests.py <-- Tests here
+                            
+                \ siglab_rs <-- Rust project root
+                \ data	 <-- Data files here!
+        '''
+        data_dir = Path(__file__).parent.parent.parent.parent / "data"
+        csv_path = data_dir / "sample_btc_candles.csv"
+        pd_candles : pd.DataFrame = pd.read_csv(csv_path)
+        compute_candles_stats(
+            pd_candles=pd_candles,
+            boillenger_std_multiples=2,
+            sliding_window_how_many_candles=20,
+            pypy_compat=True
+        )
+
+        expected_columns : List[str] = ['exchange', 'symbol', 'timestamp_ms', 'open', 'high', 'low', 'close', 'volume', 'datetime', 'datetime_utc', 'year', 'month', 'day', 'hour', 'minute', 'dayofweek', 'pct_chg_on_close', 'candle_height', 'is_green', 'pct_change_close', 'sma_short_periods', 'sma_long_periods', 'ema_short_periods', 'ema_long_periods', 'ema_close', 'std', 'ema_volume_short_periods', 'ema_volume_long_periods', 'max_short_periods', 'max_long_periods', 'idmax_short_periods', 'idmax_long_periods', 'min_short_periods', 'min_long_periods', 'idmin_short_periods', 'idmin_long_periods', 'h_l', 'h_pc', 'l_pc', 'tr', 'atr', 'hurst_exp', 'boillenger_upper', 'boillenger_lower', 'boillenger_channel_height', 'boillenger_upper_agg', 'boillenger_lower_agg', 'boillenger_channel_height_agg', 'aggressive_up', 'aggressive_up_index', 'aggressive_up_candle_height', 'aggressive_up_candle_high', 'aggressive_up_candle_low', 'aggressive_down', 'aggressive_down_index', 'aggressive_down_candle_height', 'aggressive_down_candle_high', 'aggressive_down_candle_low', 'fvg_low', 'fvg_high', 'fvg_gap', 'fvg_mitigated', 'close_delta', 'close_delta_percent', 'up', 'down', 'rsi', 'ema_rsi', 'typical_price', 'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 'macd', 'signal', 'macd_minus_signal', 'fib_618_short_periods', 'fib_618_long_periods', 'gap_close_vs_ema', 'close_above_or_below_ema', 'close_vs_ema_inflection']
+        assert(pd_candles.columns.to_list()==expected_columns)

siglab_py/util/aws_util.py

@@ -3,6 +3,11 @@ from typing import Union, Dict
 '''
 https://gist.github.com/raphaelgabbarelli/bc5a41d93789046f9c71e4685f1463e7
 https://www.youtube.com/watch?v=CFEYKrP0vxs
+
+If boto3 import complains: AttributeError: module 'lib' has no attribute 'X509_V_FLAG_CB_ISSUER_CHECK'
+    python3 -m pip install pip --upgrade
+    pip install pyopenssl --upgrade
+    https://stackoverflow.com/questions/73830524/attributeerror-module-lib-has-no-attribute-x509-v-flag-cb-issuer-check
 '''
 import boto3
 import base64

{siglab_py-0.1.6.dist-info → siglab_py-0.1.8.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.6
+Version: 0.1.8
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.6.dist-info → siglab_py-0.1.8.dist-info}/RECORD

@@ -1,7 +1,7 @@
 siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/constants.py,sha256=YGNdEsWtQ99V2oltaynZTjM8VIboSfyIjDXJKSlhv4U,132
 siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/exchanges/any_exchange.py,sha256=blsB_itXEcr8-DxT4DI5n9v9htJGbU0OsW68fx6pIgo,727
+siglab_py/exchanges/any_exchange.py,sha256=pnSAatOzUIgwY9iPa5XR5xF_C5VIXAWi_uAhjvBP8bQ,749
 siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=uN6oD6PqbfnkPKVzKF_GfSEuXdtmv0lFTB-yg9gRYcI,23234
 siglab_py/market_data_providers/candles_provider.py,sha256=fqHJjlECsBiBlpgyywrc4gTgxiROPNzZM8KxQBB5cOg,14139
@@ -10,20 +10,21 @@ siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=mP-508
 siglab_py/market_data_providers/orderbooks_provider.py,sha256=cBp-HYCups2Uiwzw0SaUwxrg4unJvnm2TDqIK8f4hUg,15674
 siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lkOLa_cgpuvqRakMC0wbA,2221
 siglab_py/ordergateway/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/ordergateway/client.py,sha256=RWngzDnqsE_7LUqvRcDopTHxUNYKrA-FF_0A-IfJv90,6419
+siglab_py/ordergateway/client.py,sha256=BndmyQkAtPSEXQP9vR8ySiPIkODjuf0-LOwnsFFPPhg,6508
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=xlTThsNRRHYWilpc3zpAcYC2nxG4crfpDY8Refbnl64,30038
+siglab_py/ordergateway/gateway.py,sha256=n1tfKsSujdyygyV3fYGy56CGXMT1Y_6BFuOsXesG3bU,30589
 siglab_py/ordergateway/test_ordergateway.py,sha256=DH4djEZeWZr69lTx_xG9_N8S_E2wAG4S3430VisU5w4,3805
 siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/tests/integration/market_data_util_tests.py,sha256=_UyOMTTBW1VJ7rroyESoxmdhBCQzWSV2A14tAjV9J5U,5634
+siglab_py/tests/integration/market_data_util_tests.py,sha256=HFESIXEdQmrbDV3DvLiDLq0iE-4itysxSFur_Th4jjE,5207
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/tests/unit/analytic_util_tests.py,sha256=-FGj-cWdIZ_WZQqQCIpDLRSv5TlJIG81fHyBlWuAm1U,2961
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/util/analytic_util.py,sha256=QLabbEMqM4rKKH2PE_LqxIyo-BUdCRhkLybLATBImcc,43438
-siglab_py/util/aws_util.py,sha256=x_duGDXJ6sO0wVpoRVDTMxECag7feA7zOwZweVLGl_w,2251
+siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=3qTq71xGvQXj0ORKJV50IN5FP_mCBF_gvdmlPyhdyco,16439
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.1.6.dist-info/METADATA,sha256=-5cCWoewOwKri1IrLJG7rIeff4vbZpqDUQtQnxiTlDU,1096
-siglab_py-0.1.6.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.1.6.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.1.6.dist-info/RECORD,,
+siglab_py-0.1.8.dist-info/METADATA,sha256=QqYYIHR02shHkYxd9X4vBgxwhhp_6eoYEctTN-rUgpk,1096
+siglab_py-0.1.8.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.1.8.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.1.8.dist-info/RECORD,,